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We've relaunched our home page. It's now presenting the orthogonality of solutions, products and the technology stack even clearer. And this is not just a new design, it's work on the clearness of the foundations behind

We emphasize on our technology stack that leverages the transformative development of products and solutions. UnRisk technologies are multi (programming) language, inherently parallel and platform agnostic. They combine symbolic programming with the most advanced numerical techniques and enable us to co-build, co-create and co-evolute new things with partners swiftly…

UnRisk Omega a referenceUnRisk Omega is the co-creation of multilateral and UnRisk. It's all about risk-informed investment management. It's computing millions of prices and risk spectra on a scalable grid to support investment decisions. With its tablet font-end it goes where its users go.

I've announced our event on exposure modeling / xVA calculations recently. It will take place at the Ritz Carlton Hotel in Vienna.

This reminded me of the beginning-hook story of the book UnSelling…about a family that spent a few days at a Ritz Carlton Hotel in Florida. Upon returning to California they discovered that their son's beloved stuffed giraffe, Joshie, had gone missing…knowing the son would probably not go to sleep without his favorite pal…the father decided to tell a little white lie: "Joshie's just taking a few more days on vacation at the resort…" (he told the hotel stuff about this story when asking for Joshie…)

Joshie had been found and shipped…and, surprisingly, the stuff has added a series of pictures witnessing Joshie's vacation…on a lounge chair by the pool wearing shades, getting a massage…and they also sent a Joshie at Ritz Carlton ID badge.

This is beyond customer service…

Beyond a seminar

Great to have our event at a Ritz Carlton…but our event is also driven by our "unselling" interpretation. We call it a seminar, but it's designed as a "small-group process"...fully and interactively explaining

the regulatory framework

how to manage progressive problems

why it requires a set of new methods

how we've built the engines for secure application

It's about a big change with individual consequences for individual market participants. It's complex but manageable. Especially in a framework of co-operation. So, we'll also point out that early project planning is required…and offer beyond customer service support.

At the seminar we will fully explain why Exposure Modeling, comprehensive xVA (CVA/FVA/DVA:::) calculations, Central Clearing, Central Counter Party, Margin Rules…need new methods and how the engines must be built and applied to meet the requirements of the new regulatory regime…that forces significant changes in pricing as well as risk management.

A Workout in Computational Finance 2015This is a free event: 18-Jun-15, 17.30-21.00 at the Fitch Learning Center in LondonWolfram Research and UnRisk, in collaboration with Fitch Learning, have teamed up to invite you to a free evening of inspiring quant finance sessions from machine learning, clustering, and classification and prediction techniques to risk management of dynamic strategy indices. We will also discuss the complexities of xVA calculations, including exposure modeling and incremental xVA calculations.The workout is designed to give attendees the chance to see how sophisticated computational and algorithmic agility can be seamlessly injected into the finance workflow.

Over more than 13 years we've built the UnRisk Technology Stack helping us to leverage our development of products with a maximum in productivity and flexibility.

A financial language implemented in engines for all major environments

It's driven by the high-level, declarative UnRisk Financial Language with built-in algorithms, knowledge and automation, implemented in the UnRisk gridEngines, the UnRisk Portfolio Factory, the VaR Engine and the xVA Engine…this engines areinherently paralleloptimizing accuracy at performance…prepared to calculate values and risk spectra of financial objects from single instruments to comprehensive portfolios (across scenarios).

Combined with data
Knowing from the beginning that valuation and data management must be twins, we've designed the UnRisk Data Framework managing all UnRisk objects and external (market) data.

For multi-environment deployment
UnRisk supports computable documents, Excel is supported by the UnRisk Excel Link and web front-ends are built of webUnRisk or special UnRisk Java Services that work with the UnRisk Data Framework.
In order to make systems that are solutions and development systems in one we've linked the UnRisk Financial Language and its Engines to the UnRisk Data Framework.And now - project or product?
How does this influence our business model? Shall we switch from a product- to a project-focus? The technology stack empowers us to do both…knowing that this kind of two-sided marketing needs a careful positioning, especially in pricing and licensing.

But knowing that open innovation is the future of technology development we confirm our

Quantsourcing principle
Offer quant developers to do what we do. Make products or perform projects. For internal use or remarking. We deliver the know-how packages with technologies and the view behind the curtain provided by the UnRisk Academy.

With our new orientation you can develop, we can develop together, or we develop...in your name.

Whether you want to serve a specific market segment, special tasks or emphasize on a new deployment system…you/we can make alternatives to outdated valuation and risk systems.

Open and transparent, multi-model and -method, with comprehensive, bank-proof risk analytics…for maximum productivity.

Build or Buy? Buy and Build!
In future posts we will outline some atop UnRisk developments.

asks Seth Godin here…in his blog that inspired me so often to think deeper about business principles, marketing, promotion…His customer services options related to various business types are so amazingly well selected and described.

We are project people. And we make products. Each sales case is a project. This has consequences and I let our product manager, Michael Schwaiger, point them out. He's product manager, key developer and head of customer service, and the trick is, he speaks for the client project...

In countries that write it that way, today's date is 3/14/15 which matches up with the first five digits of pi, 3.1415…at 9:26:53 the date and time matched up with the first 10 digits of pi, 3.141592653. As Jeffrey S. Rosenthal points out here there's even a more magic moment…BTW, the last Pi moment "better" than today, was 3/14/1592 at 6:53:58 (12 digits).

It's difficult to celebrate that pi instant moment, but the special pi day is celebrated. It won't happen again before 2115.

Pi is magical in the sense that the closer you look the more digits you see…forever…and its irrational (per mathematical definition) in the sense that there is no answer to the question: how often does the string "1415" repeat in the decimal fraction of pi?

Working with pi in practical quantitative systems you use it as symbol or put it into a box…use it precise "enough". But automated precision control in a complex algorithm needs a lot of knowledge about the transitiveness of inaccuracy of nested functions and operations…

The magic of irrational numbers is at the heart of each difficult, quantitative work. In general. You make a specification that puts a "box" around your future work. But the spec changes (in reaction to market dynamics) and you need more "digits"…

This is how we think at UnRisk…this is how we have designed it: quant developers and us always need more precision at speed, more models, more methodologies, more data…for more magic work.

Corporates need to think carefully about how the long list of new rules will affect them, their banking relationships and their future access to liquidity and services. While many companies are not directly affected by regulations, the markets they use to access financing are. All companies will be affected in some way at a micro and macro level

Interesting to read that there seems to be a kind of Babylonian situation: subjects of regulations are differently interpreted in different territories - like FX forwards…

I understand that RBS is offering a partnership that helps internationally acting corporates to overcome a continued fragmentation of financial markets...

Our contribution: help those corporates that's derivatives transactions fall under the central clearing regulations…enabling them to evaluate the different offerings…

There's no magic behind creative thinking. You're born to do it. Keep asking: "why doesn't it work"…"what should I change to make it work"…Normal thinking is rich and complex - so rich and complex that it can yield extraordinary results

Behavioral neurologists may say: yes, there are talents, but the neurological principles of creative behavior are the same among us - we all have creative minds. I agree. Creativity is a special class of problem-solving…characterized by difficulty, unconventionality, novelty…but it needs (some) competency and I ask: can you buy competency? Yes you can.

Wheels aren't hard to invent, are they?

Original thinkers often look for adventure and start thinking not reading (eschewing algorithmic and technological fruits available). This is great for explorative learning, but it may reduce the value of the innovation - in quality or delivery time?

The innovative spiral drives faster if you push new, validated theorems...into the knowledge base and use them in a next turn. This white box - black box principle is very general, but especially powerful in quantitative fields.

What makes quant innovations work?
What are the units of quant innovations and what are their generic building blocks? IMO, the basic units are functions, the most important units are tasks. Functions create tasks…tasks create workflows and workflows create subsystems and subsystems create the system - the quant innovatio. The structure may be more sequential or nested. In quant finance it's quite nested.

It is my strong belief that a quant innovation does only work, if it is developed the bottom up fashion and that each unit has building blocks that are constructors, management of progressive problems (with critical moments), solutions and their interpretation.

Functions tune the mechanics of tasks, workflows, subsystems, the system and they are the "media" of actors. They define the coverage and the depth of the system. Their programming style shall be symbolic, functional…but their implementations shall combine symbolic and numerical computation.

Tasks have usually a time dimension and they move objects and actors. Tasks shall offer a clear shift (change) throughout its flow. Comprehensive tasks may be: financial market data selection, curation and import...model validation…instrument pricing with xVA...portfolio across scenario valuation... VaR calculations, stress tests…risk data analysis and aggregation…a task is a subject of event modeling…a task oriented language as well as the data representation need to know events…again a symbolic language serves this requirement…

Workflows are responsible for the management of progressive problems. They may deal with the analysis, prediction or control of processes…in workflows we may use generic tasks like, "Create", "Select", "Apply"…Data, Instruments, Models, Parameters, Valuation Methods, Portfolios, Scenarios, Risk Factors…

Subsystems and the system are created by workflows…sub systems are add-ons if they're built atop another subsystem (a platform).

This are the ideas behind UnRisk Quants. Develop a cascade of innovations that work and empower us unfolding creativity based on growing bank-proof systems, technologies…and make the same stack available to the most busy people in quant finance - quants. Help them making their deadlines. Offer new kinds of insight partnerships.

wrote Frances Coppola at Piera a few days ago. In short, QE (and interest rate cuts) of major economic players force smaller countries to cut deposit rates into further negative territories. What I find convincing in the article:

I don’t buy the argument that households in the US, UK and European countries such as Spain and Italy have low saving ratios. They have low levels of liquid savings, yes – but they invest hugely in illiquid assets, particularly property, usually as a leveraged investment.

and finally

If the elderly actually spent their savings, rather than living frugally to preserve capital, the release of that money into the economy would be a demand stimulus that would both raise inflation and arrest falling interest rates. And if those saving for retirement risked their money in young, growing enterprises rather than seeking low-risk passive investments in mature industries, property and government debt, it might dampen the cycle of asset price booms and busts and reverse the long-term trend of interest rates.

As business owners we know about financing a project: it does not matter where it comes from (equity or debt - Modigliani-Miller - you always sell parts of your future business) it matters where it goes to. This should be obvious for everybody, when interest rates are low.

And it's true for an economy as a whole. It may be the lack of innovative ideas, but if an economy is unable to find a more productive use of savings (or debt) than blowing up asset bubbles…interest rates will continue to fall.

It's turning the price logic: if, at the green market, carrots become too expensive, we buy other vegetables. If houses get expensive they become objects of speculation and prices rise until the bubble bursts…the economy as a whole does not optimize risk.

As I have pointed out on previous posts...I doubt that the regulatory regime of risk minimization by centralization will be the right contribution of the financial system, but it happens and we will get used to it.

As quant supporting technology providers we know that some widely used models bear operational risk in a regime of negative values. And we offer better approaches and insight:

It suggests that banks shall/will adopt a kind of "collaborative filtering algorithms"...successfully used by the online retail sector…to pitch new products to clients.

What is a collaborative filtering algorithm?

It's a method of making automated predictions about the interests of a user by collecting preferences from many users. If one shares a taste with others its more likely that she shares another taste too…is the basic idea behind.

If you listen too much to main stream, you create mainstream?

Collaborative filtering needs enough samples (user-item matrixes may become large and sparse), it looks into the past…so, although collaborate filtering can claim to achieve good diversity and independence, it may work the other way around in unpredictable cases - if you listen too much to mainstream, you create mainstream.

IMO, senior management and board seek greater visibility to liquidity and risk exposures and better monitoring financial metrics on critical projects…this requires finding new ways to leverage treasury skills and technologies…maybe use things that are not in stock.

Yes, Steve Job said once: "...people don't always know what they want before you show it to them…" But how do we show complex system behavior and something that has not been described before?

Quant finance

Without using algorithms, you can't understand values and risk and engineer new financial instruments, but the success of treasury departments may need also quantitative methods to validate the major instruments they need…beyond collaborative filtering...

A treasurer's role may need to shift from being an asset guardian to a value creator…set the stage for successful investment and risk management, leverage technology and build quant finance skills.

It seems that not only borrowers speculated with their Swiss Franc loans. Banks did not include floors into their rate calculation for the loans. As the Swiss Franc reference rates go down banks have to pay interest to the borrowers. In Austria banks try to change the contracts but it is a legal dispute whether they are allowed to do so. If not these are some positive news for the borrowers who have been hit hard by the EUR-SFR exchange rate.

Beyond the Barricades is the title of the cover story of the Jan-15 issue of the Wilmott Magazine…it's about the recruitment outlook for quants in 2015…advocating for the ability to work and communicate well across disciplines.

In Beyond the Barricades Wilmott asked major recruiters a few questions….about increasing and decreasing opportunities, drivers, specifics of market segments, skill requirements…

Superquant by compliance or innovation?

The word that has been placed several times across the interviewees: "quant risk teams"…that, IMO, means that emphasis will shift from quant traders to risk quants…especially market risk modelers, operational risk modelers, (risk) model validation specialists…were mentioned.

From the many answers, I select two from London

The best-remunerated quant jobs will be the ones closed linked to regulatory coordination or model audit/governance (Anna Purves from Robert Walters)

The ability to combine programming with business-oriented responsibilities, creating new products working with clients…will be part of the big boom for 2015 (James Martin from Phaidon International)

Be compliant or innovative? The market within the space of quant finance seems to change very much and, pointedly speaking, I understand the above positions as two extremes: work along constrained tasks that are defined by somebody else or figure out what the new opportunities are? In short do the industrial or the lab work?

Gold Rush or modern mining?

As the Wilmott article states in its beginning hook

The days of the quant savant as the secret weapon of the front desk and proprietary operations are now long gone. The difference between pioneering days of the first rocked scientists arriving on Wall Street and the current situation is akin that between the first prospectors of the California Gold Rush and the modern mining industry

That happens with many businesses. Pioneers take the arrows and the settlers take the land…But in many industries quant skills are still seen as drivers for better outcomes.

Can the finance industry be defined as one that develops on the basis of retreating innovation? Meeting regulatory requirements alone?

Is it surprising that the Wall Street has got strong competitors when recruiting talents? Google...or even tech startups?

You get more productivity by working harder or with more skill. Then you might find people who cost less for doing the assigned task. You may manage cooperate and build clever teams...

Then you may invest in technologies that boost the output of your teams…And then?

Then you may invent a new technology…it finally may empower you to define your own tasks. Those that make the change to the better in principle…those that make you a "hybrid quant"…combining programming with business-oriented responsibilities.

The final step may separate the extraordinary careers from the normal ones.
But it often requires a short downturn of your productivity.

Our offers are made to promote yourself by high level programming, regulation-compliant engines, multi-model approaches for new products…know how packages and transparency. Based on UnRisk Quant.

We wan to help pioneers to take the land and settlers to pay the rent.

How long does an electron need for its way through a crystal grid ? Austrian and German physicists now answered this question with an sophisticated experiment. For its way through one atomic layer of a solid state an electron needs 40 attoseconds. For this time measurement the team around Reinhard Kienberger targeted two succeeding laser pulses on a few atomic layers strong magnesium crystal an a Wolfram surface. Details of the experiment and the measurement can be found in the actual issue of the Nature magazine. Insights from this experiment can help to further increase the speed and to further minimize electronic devices.

I recall the very beginning…the decision to make UnRisk PRICING ENGINE after some amazingly successful quant finance projects - 2001. Or 2008 when we launched our flagship platform the UnRisk FACTORY.

But things have changed drastically. The new regulatory regime of centralization and standardization may not only lead to revenue compression of derivatives businesses, but also change the roles of quants fundamentally. Instead of "structure me this" or "optimize me the market risk of that portfolio" they will need to manage massive data and valuations diving deep into the institutions information system?

The open workload of quants may become horrible and their race at the critical path of no avail?!

With UnRisk-Q we've unleashed the programming power behind UnRisk. It became an indispensable add-on for our clients that individually post-process the comprehensive risk data of the UnRisk FACTORY. It stretched our business. Consequently, we didn't push it hard,

Help quants leverage their work

We believe hot creativity and not frozen standards will heel the feverish financial systems. Quants have it. We decided therefore to offer them a fundamentally new partnership. The foundation is UnRisk Quant in a license form including free updates and application support by our key developers.

We're too small to change the big decisions, but we decided to help quants suffering less from constraints…We're lucky to have only few constraints when making our decisions…do the important or the profitable is not the same.

This is what we've decided:

Help the most busy people in quant finance - quants

Move fast when making decisions - listen less to focus groups, but quants

Help quants making their deadlines - its developed for maximum quant productivity

Trade up on trust - by telling the truth, full transparency, unprecedented quick response...

With UnRisk Quant you program in a high level Financial Language implemented in high performance valuation and xVA engines, scenario simulators, a VaR Universe…

The following view is shaped by 15 years of practical project experience with AI tools:

I think, the real questions behind are

"…..About Machines That Think Like Us?"

"Is building a thinking machine possible?" and if yes "how far from thinking are machines we can build in the near future?".

"Should thinking machines be built at all?"

I have no doubt that thinking machines are possible (when a combinations of chemicals can do it, why not silicon...?)

When?

AI - the future that never happened by now.

The idea has a long tradition: computerized systems are people and there is a strong relation between algorithms and life,,,

First…the top down expert system thinking of AI..."died".

Then…"Artificial Life" promised to create intelligent creatures by genetic programming…it works well fur less ambitious objectives.

Now…because we have neurons intelligent machines need to have them too…our brain has an enormous capacity…to make AIs we only need to combine massive inherent parallelism, massive data management and deep neural nets…?

"The billion-dollar tech startup was supposed to be the stuff of myth. Now they seem to be … everywhere."
I read this sentence in an article about startups and their valuation in an article in Fortune . The article is about start ups worth one billion or more and they state, that today the technology industry is crowded with billion-dollar startups. Reason is the availability of venture capital. Many of these startups will vanish in a short period of time. But some of them will be the next Google, Amazons and Facebooks driving the technology further and doing a lot of fancy things.

The same day I have read an article in the Austrian newspaper Der Standard. The article claimed, that Austria, although a rich country, is only on the 20th place in Europe when it comes to financing using risk capital. I ask myself how we can close the gap for high level technologies if neither the public nor the private sector is willing to take some risks in financing innovation. It is typical for Austrians to abhor risk, but this fact, combined with a year long deadlock in Austrian politics is driving us downwards the innovation spiral.

Andreas' posts on the Swiss Franc, particularly the previous one made me thinking whether this is just a derailment? OK, the official Vienna approach looks like a (confessed) Ponzi scheme…but in general?

Are loans consumed in masses like fast food?…The lower the interest rate the better? Whatever is behind, who cares about the underlying ingredients, the recipe, the heat…? It's for 1 not for 1.8?

The City of Vienna (which is also a federal state of Austria) has outstanding loans not only denominated in EUR, but also a significant portfolio of CHF loans (more than 1.5 billion EUR, as of end of the year 2014). With the increase of the CHF value compared to the EURfrom last weak, the present value increased by 300 million EUR.

Maybe surprisingly for non-Austrians, the treasurer of Vienna, Renate Brauner, stated that this increase in outstanding debt is only for accounting. Outstanding loans could be rolled over to new credit lines in CHF. If CHF in the future goes down somewhen, then this increase in debt will disappear again.

Recently, the appellate court (Oberlandesgericht Wien) decided on the City of Linz' claim that Uwe Wystup, named as expert witness in the Swap 4175 trial, would be biased. The claim was declined and Wystup was confirmed.

Furthermore, it was decided that Linz has to present (to the court) minutes of the supervisory board of its real estate company (Immobilien Linz GmbH). The court wants to clarify if there have been discussions on swaps within this supervisory board.

In the shadow of the turmoil about the Swiss Franc, the Chinese stock markets had a real bad start into the week. The stocks plunged due to planed bans for certain finance products by the Chinese regulators. At one point Monday, the Shanghai Composite Index was down 8.3 percent. It later trimmed that to a loss of 7.7 percent. Although Monday's fall was quite dramatic investors in other markets see the situation peculiar to China.

With the increase of the Swiss Franc to the EUR (according to the Universal Currency Converter the exchange rate today in the morning is 1 EUR = 1.00078 CHF), we may ask if this has consequences for the Swap 4175 trial.

We recapitulate that in this swap 4175, Linz agreed to pay an annual interest rate of (1.54 - FX)/FX with FX being the exchange rate between CHF and EUR. With the current situation of markets, this would mean an interest rate of 53.88 percent.

Now the good news for Linz: With the claims and counterclaims formulated in 2011, the swap was closed and market changes thereafter do not influence the sum to be disputed at court.

Considerable changes in banking regulation are forcing financial institutions to change operating regimes. This has, in particular, an impact on the work of quants, who will find themselves even more as racers at the critical path.

From pricing to risk management, from front to back office: xVA is a cross-sectional matter. The need for comprehensive exposure modeling, the inclusion of margins and the introduction of central clearing lead to a much higher complexity in valuation and risk management and will therefore impact future quant work fundamentally.

UnRisk has invested 150 person years of development time to build a solid technology stack upon which quants can swiftly build systems reacting to new requirements. Bank-proof mathematics, the most advanced numerical schemes combined with elegant ways to manage massive data, enables quants to step up to the plate.

Developed for maximum productivity, UnRisk Quant comes with 8 computational kernels, includes a high level programming interface that shortens development cycles and includes numerical engines for valuation, risk management and xVA calculations.

All that comes for the remarkable price of 9.960,00 Euros per year, positioniong the product on the top regarding the value for cost ratio.